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Information ratio test for model misspecification on parametric structures in stochastic diffusion models

โœ Scribed by Shulin Zhang; Peter X.-K. Song; Daimin Shi; Qian M. Zhou

Book ID
113557873
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
330 KB
Volume
56
Category
Article
ISSN
0167-9473

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Let \(\boldsymbol{W}\) be a \(p \times p\) matrix distributed according to the Wishart distribution \(W_{p}(n, \boldsymbol{\Phi})\) with \(\boldsymbol{\Phi}\) positive definite and \(n \geqslant p\). Let \(\left(m / \sigma^{2}\right) g\) be distributed according to the chi-squared distribution \(\ch